In previous incarnations of the Assassin's Creed series, you've been able to buy pouches to upgrade your capacity of ammunition, darts, etc. In Assassin's Creed 3, I have yet to find a store that sells these. Are these upgrades gone from the game completely, do they not become available until a certain point, or is there only certain stores that sell them?
Well not really, you cannot buy the pouches anymore, you have to craft them this time.
To craft, you need to find a store (or any place) that has an Accounting Book. Use the book and go to Crafting and look up a Special Items recipe. You'll find all the pouches and other upgrades there. You'll also need to find the recipe for the appropriate recipe which you will find through normal progression of the game.
Jeff's answer is correct but incomplete - to craft pouches you need to recruit a particular artisan to your homestead and have the appropriate materials to hand.
I think some of the homestead missions might be missable, so make sure that you complete them before progressing the story missions. It also helps to unlock upgrades sooner.
In addition if you load up that otherwise pointless UPlay thingey you can unlock an extra capacity pouch for gun ammo. I think that's the only way to get your ammo up to 40.